Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0259
Annualized Std Dev 0.2747
Annualized Sharpe (Rf=0%) 0.0944

Row

Daily Return Statistics

Close
Observations 4832.0000
NAs 1.0000
Minimum -0.1945
Quartile 1 -0.0074
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0086
Maximum 0.1732
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0173
Skewness -0.3191
Kurtosis 14.5697

Downside Risk

Close
Semi Deviation 0.0126
Gain Deviation 0.0123
Loss Deviation 0.0137
Downside Deviation (MAR=210%) 0.0170
Downside Deviation (Rf=0%) 0.0125
Downside Deviation (0%) 0.0125
Maximum Drawdown 0.7612
Historical VaR (95%) -0.0262
Historical ES (95%) -0.0412
Modified VaR (95%) -0.0247
Modified ES (95%) -0.0307
From Trough To Depth Length To Trough Recovery
2008-05-22 2020-03-18 NA -0.7612 3230 2976 NA
2002-04-03 2003-01-27 2003-12-16 -0.2422 419 198 221
2007-10-30 2008-01-23 2008-04-18 -0.1727 118 58 60
2006-05-11 2006-06-13 2006-11-29 -0.1532 141 23 118
2005-09-30 2005-10-20 2006-01-23 -0.1505 78 15 63

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2001 NA NA NA NA NA NA NA NA NA NA 1.4 -0.1 1.4
2002 -0.3 0.7 0.7 0.5 1.5 0 -3.6 -1.1 3.4 2.2 -0.3 -0.5 3
2003 0.8 1.2 1.3 0.4 0.7 -0.1 -0.8 1.2 1.3 1.5 0.9 0.7 9.4
2004 -0.8 2.3 -1.2 1.6 1.3 -0.3 0.4 0.9 1.5 -0.9 -1.3 -0.2 3.3
2005 1.9 -1.6 1.2 0.6 1.3 1.5 0.9 2.7 -1.3 0.2 2.8 0.1 10.6
2006 -1.6 1.7 -1.2 1 0.6 0.6 0.1 0.7 -0.1 -1 -0.3 -0.2 0.2
2007 0.8 -0.4 -1.1 0.3 1.1 0.6 0.2 1.2 1 -2.4 0.5 -0.7 0.9
2008 1.5 -3 1.5 -1.5 0.4 -0.2 -1 -0.6 -3 1.4 -10.5 1.5 -13.2
2009 -1.2 -2 1.8 3.3 3.6 0.1 0.2 -1.9 -2.8 -3.4 2 -0.5 -1.2
2010 2.3 0.9 2.1 -1.3 -3.8 0.2 -0.1 3.9 1.8 0.1 2.6 0.5 9.4
2011 2.4 -1.5 0.9 1.1 -2.5 1 -0.4 -0.7 -2.1 -3.4 -0.9 0.4 -5.6
2012 0.6 1.2 0.8 1 -2.3 3.7 0.6 1.1 0.6 0.5 -0.1 1.6 9.6
2013 0.7 0.1 -0.1 -1.2 -2.2 0.6 0.8 -0.4 0.3 -0.4 -0.1 0.8 -1.3
2014 -1.2 0.7 0.5 0 -0.1 0.2 -0.6 0.7 -1.8 1.5 0.3 -0.7 -0.6
2015 0.6 0.2 0.6 0.1 -0.7 -1 -1.6 -3.7 0.4 0.3 0.9 0 -4.1
2016 -1.7 2.4 -1.5 -0.1 0.2 0.7 -2.9 -0.2 1.1 0.1 0.6 0 -1.4
2017 -0.5 1.5 -0.3 -0.2 0.7 0.2 0.4 0.7 0.1 0.9 0.9 0 4.4
2018 0.9 -0.3 2 -0.5 0.4 0.8 -1 -1.2 1.4 0.3 -0.1 0.3 3
2019 1 0.9 1.2 -1.6 -1.1 0.2 -2.6 0.1 -1.7 2.4 -0.9 0.4 -1.7
2020 -2.9 0.3 -3 -5.3 2.1 -1.2 -1.7 -0.4 -2.3 0.6 1.4 -1 -12.7
2021 0.5 1.8 0.1 NA NA NA NA NA NA NA NA NA 2.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2001-11-16  15.2 SPY    114. -0.0044  0.0145    0.0646  -0.0412   -0.163       NA       NA <NA>     NA    NA       NA
2 2001-11-21  15.7 SPY    114. -0.0066 -0.0054    0.0471  -0.0232   -0.183       NA       NA <NA>     NA    NA       NA
3 2001-11-23  15.8 SPY    116.  0.0144  0.0071    0.065   -0.0182   -0.158       NA       NA <NA>     NA    NA       NA
4 2001-11-26  15.6 SPY    116.  0.0022  0.0137    0.0485   0.0009   -0.152       NA       NA <NA>     NA    NA       NA
5 2001-11-27  15.7 SPY    115. -0.0043 -0.00290   0.0463  -0.0136   -0.143       NA       NA <NA>     NA    NA       NA
6 2001-11-28  15.5 SPY    113. -0.0181 -0.0127    0.0548  -0.028    -0.163       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart